Methods, systems and computer program products to facilitate the hedging, risk management and trading of derivatives contracts

摘要

This invention relates to methods, systems and computer programs product to facilitate the hedging, trading and risk management of derivatives contracts on one or more underlying via the introduction of Basis instrument Contracts (BICs).

主权项

1. A method for transforming a derivatives contract, on one or more underlyings, for a single or multi-period trading framework, for any notional amount, into a portfolio of replicating BICs said method comprising:
a. receiving, via a first input device linked to a computer processor, a choice of a BIC-basis; b. receiving, via a second input device linked to the computer processor, the payout payment function for the derivatives contract; c. receiving, via another input device linked to the computer processor prices for elements of said BIC-basis; and, d. repeating an iterative backward decomposition process to compute by the computer processor the notional amounts of the portfolio of replicating BICs.